XOM Options History — February 2012

In February 2012, XOM traded between $83.53 and $87.34. ATM implied volatility averaged 16.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.1% (HV 20d: 14.3%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2012-02-07: Highest Volume — 404,243 contracts
2012-02-27: Largest IV spike — 21.7% change
2012-02-01: Highest IV Rank — 9.8%
2012-02-10: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.57	$83.53	$87.34	$83.97	$86.50
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	16.3%	13.6%	19.0%	19.0%	16.6%
Expected Move	4.5%	4.0%	4.8%	4.7%	4.4%
HV 20d	14.3%	11.4%	15.7%	11.4%	13.0%
HV 60d	18.9%	15.3%	20.5%	20.3%	15.3%
IV Rank	4.9%	0.0%	9.8%	9.8%	5.3%
IV Percentile	12.3%	0.0%	34.1%	34.1%	11.5%
Term Structure	0.7%	0.3%	1.1%	0.7%	0.7%
VWIV	16.1%	14.2%	18.0%	17.4%	15.6%
Skew 25d	2.9%	1.9%	4.1%	2.7%	2.2%
Skew 10d	6.2%	4.2%	9.2%	5.2%	4.2%
Call IV 25d	14.9%	13.6%	16.2%	15.9%	15.0%
Put IV 25d	17.9%	15.8%	20.1%	18.7%	17.3%
Bid-Ask Spread %	4.03	2.53	5.07	4.83	4.91
Gamma HHI	0.19	0.13	0.33	0.14	0.21
Net GEX	61.0M	-51.4M	102.8M	23.6M	82.6M
Net DEX	-818.8M	-1.28B	-234.5M	-344.1M	-1.08B
Net VEX	-13.6M	-14.9M	-12.9M	-13.3M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.04	2.19	0.80	0.29
Total Volume	70,473.75	21,479	404,243	47,437	49,383
Total OI	957,756	894,690	1,005,264	941,097	1,005,264

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$83.97	$85.00	19.0%	4.7%	11.4%	9.8%	17.4%	2.7%	0.7%	23.6M	-344.1M	-13.3M	0.80	4.83	26,344	21,093	503,473	437,624
2012-02-02	$83.53	$85.00	19.0%	4.8%	11.5%	9.7%	16.8%	2.9%	0.6%	28.9M	-234.5M	-13.1M	1.43	3.87	28,603	40,950	511,668	439,343
2012-02-03	$84.92	$85.00	15.6%	4.5%	13.1%	3.6%	16.2%	3.3%	0.8%	-51.4M	-615.0M	-13.4M	0.91	4.65	30,805	28,115	517,756	455,497
2012-02-06	$85.75	$85.00	18.6%	4.6%	13.3%	9.1%	16.3%	2.8%	0.7%	67.4M	-914.3M	-13.1M	0.72	4.63	30,385	21,737	510,414	429,108
2012-02-07	$86.34	$85.00	18.6%	4.2%	13.5%	9.0%	15.6%	2.6%	0.5%	73.9M	-1.09B	-13.3M	0.04	4.50	388,423	15,820	518,289	435,837
2012-02-08	$85.32	$85.00	15.2%	4.6%	14.1%	2.7%	15.6%	2.6%	0.6%	56.0M	-736.1M	-13.0M	0.75	4.08	26,041	19,536	503,464	439,318
2012-02-09	$84.88	$85.00	16.0%	4.6%	14.0%	4.2%	15.8%	2.8%	0.8%	57.3M	-665.5M	-12.9M	1.18	3.21	19,870	23,474	510,999	445,512
2012-02-10	$83.80	$85.00	16.9%	4.8%	14.7%	5.9%	18.0%	3.7%	0.9%	40.7M	-314.0M	-13.5M	0.86	2.53	36,606	31,545	512,712	452,524
2012-02-13	$84.42	$85.00	16.2%	4.7%	14.9%	4.7%	17.0%	3.8%	1.1%	57.1M	-492.6M	-13.3M	0.75	2.97	12,308	9,171	505,987	450,485
2012-02-14	$84.67	$85.00	16.8%	4.8%	14.5%	5.6%	17.4%	3.5%	1.0%	62.8M	-560.7M	-13.5M	1.11	2.85	16,590	18,430	508,770	452,247
2012-02-15	$84.12	$85.00	16.7%	4.8%	14.2%	5.6%	17.5%	4.1%	0.9%	56.7M	-414.0M	-13.4M	2.19	3.45	16,770	36,738	512,466	457,593
2012-02-16	$85.41	$85.00	16.6%	4.7%	15.1%	5.3%	16.6%	3.7%	0.7%	84.2M	-790.3M	-13.6M	0.98	3.92	39,377	38,618	514,913	465,331
2012-02-17	$85.62	$85.00	15.9%	4.6%	15.0%	4.1%	15.5%	3.6%	0.9%	76.6M	-852.6M	-13.5M	0.96	3.67	23,499	22,456	519,937	475,962
2012-02-21	$86.57	$85.00	14.8%	4.2%	15.6%	2.1%	15.7%	3.3%	0.6%	70.8M	-1.14B	-13.3M	1.08	4.03	28,585	30,978	471,003	423,687
2012-02-22	$86.92	$85.00	14.2%	4.1%	15.7%	0.9%	15.2%	2.7%	1.0%	75.9M	-1.17B	-14.0M	0.84	5.07	20,715	17,437	480,194	441,321
2012-02-23	$87.02	$85.00	13.8%	4.0%	15.7%	0.3%	14.2%	2.2%	0.7%	76.6M	-1.17B	-14.2M	0.63	3.71	23,161	14,528	486,055	447,368
2012-02-24	$87.34	$85.00	13.6%	4.1%	15.6%	0.0%	14.2%	1.9%	0.6%	102.8M	-1.27B	-14.2M	0.42	4.83	50,667	21,531	497,718	452,120
2012-02-27	$87.23	$85.00	16.6%	4.6%	15.1%	5.4%	16.0%	2.0%	0.3%	89.0M	-1.28B	-14.6M	0.54	4.99	52,737	28,576	512,828	456,992
2012-02-28	$87.14	$85.00	16.1%	4.4%	15.0%	4.5%	15.8%	2.0%	0.7%	89.3M	-1.25B	-14.9M	0.72	3.86	27,884	19,989	524,148	469,193
2012-02-29	$86.50	$85.00	16.6%	4.4%	13.0%	5.3%	15.6%	2.2%	0.7%	82.6M	-1.08B	-14.7M	0.29	4.91	38,192	11,191	528,669	476,595